Delicious served with Moroccan mint tea. Instead of saffron, you can finish them with grated lemon zest. They are also good without any kind of icing or garnish, just dipped in a creamy yoghurt sauce made by whisking together Greek yoghurt, double cream, vanilla and a bit of icing sugar. Makes 16 cigars.
Serves four to six

Method

Start by soaking the saffron in a small bowl with the boiling water. Leave aside for 45 minutes.
In a medium pan put the ground walnuts, ground almonds, cinnamon, sugar, 4 tablespoons of water and a pinch of salt. Heat at a low temperature, stirring, until the sugar has dissolved, about 4 minutes. Take off the heat and allow to cool. Whisk in the lemon zest and egg yolk and set aside.
Take one sheet of filo and place it on a clean, dry work surface with the long edge facing you. Spread 1 tablespoon of the nut mixture, about 15 grams, in a thin strip along the edge closest to you, clearing 1cm away from the sides on the right and left. Fold the two sides over the paste to hold it in on both sides and roll away from you to create a compact cigar. Brush the last 1 centimeter of pastry with the egg white and fold to seal. Repeat with the remaining wrappers and filling.
Pour enough oil into a medium frying pan so it come 2cm up the sides. Heat up the oil on medium to high heat until it reaches 190C. If you don’t have a thermometer, throw in a small piece of filo and see that it sizzles and cooks but doesn’t brown and burns in seconds. Cook the cigars in batches, 1-2 minutes on each side, until golden-brown and crispy. If it takes less than this, reduce the heat. Remove with a slotted spoon or tongs and place on a cooling rack.
Make a thick icing by whisking together the icing sugar and lemon juice. It should be very thick still pourable. Spoon or brush the icing onto the cigars allowing it to coat them naturally. Remove some saffron threads from the water with a fork and scatter them on top. Leave for a few minutes to set and then eat at once.